Rate of convergence of option prices by using the method of pseudomoments

DOI10.1090/tpms/987zbMath1345.60018OpenAlexW2482772578MaRDI QIDQ2817056

E. Yu. Munchak, Yuliya S. Mishura

Publication date: 29 August 2016

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/987

zbMATH Keywords

weak convergenceconvergence rateBlack-Scholes modelrisky assetsoption pricespseudomomentsfinancial market modelsscheme of series

Mathematics Subject Classification ID

Related Items (4)

An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility ⋮ Rate of convergence of option prices for approximations of the geometric Ornstein–Uhlenbeck process by Bernoulli jumps of prices on assets ⋮ Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models ⋮ Estimation of the rate of convergence in the central limit theorem for a sequence of series in terms of averaged pseudomoments

Cites Work

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• Smooth convergence in the binomial model
• Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
• The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black–Scholes model
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
• Stochastic finance. An introduction in discrete time

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